Covariance Matrix for VAR Parameters
Posted: Tue Dec 20, 2016 1:34 pm
Is there a simple way to retrieve and display the covariance matrix for the parameters of an estimated VAR? Thanks in advance for the help.
This will compute it. Do could do a DISPLAY or an MEDIT to show it, though how useful that will be will obviously depend upon how large it is.
compute fullcov=%kroneker(%sigma,%xx)